Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.2209
Annualized Std Dev 0.4628
Annualized Sharpe (Rf=0%) 0.4773

Row

Daily Return Statistics

Close
Observations 3542.0000
NAs 1.0000
Minimum -0.2334
Quartile 1 -0.0110
Median 0.0026
Arithmetic Mean 0.0012
Geometric Mean 0.0008
Quartile 3 0.0150
Maximum 0.2407
SE Mean 0.0005
LCL Mean (0.95) 0.0003
UCL Mean (0.95) 0.0022
Variance 0.0008
Stdev 0.0292
Skewness -0.0462
Kurtosis 7.7371

Downside Risk

Close
Semi Deviation 0.0211
Gain Deviation 0.0204
Loss Deviation 0.0227
Downside Deviation (MAR=210%) 0.0247
Downside Deviation (Rf=0%) 0.0206
Downside Deviation (0%) 0.0206
Maximum Drawdown 0.8385
Historical VaR (95%) -0.0465
Historical ES (95%) -0.0699
Modified VaR (95%) -0.0426
Modified ES (95%) -0.0657
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2013-11-13 -0.8385 1520 339 1181
2020-02-20 2020-03-20 2020-07-06 -0.5494 95 22 73
2018-08-30 2018-12-24 2019-04-22 -0.4435 160 80 80
2015-12-07 2016-02-09 2016-07-27 -0.3084 161 44 117
2015-05-28 2015-08-25 2015-11-04 -0.2901 113 63 50

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA -1.7 -1.4 0.4 0.8 -1.2 2.2 2.8 2.6 -2.8 -1.9 -1.9 -2.3
2008 10.9 -4.8 5.5 6.3 1.3 0.6 -1.3 -3.9 -1 0.2 -14.4 1.4 -1.3
2009 -5.3 -0.4 4.8 1.1 6.5 1 -0.2 -4.2 -5.7 -5 2.8 -2 -7.2
2010 3 2.6 -0.1 -4.1 -2.2 -0.9 -0.8 5.4 -0.1 0.4 4.6 -0.4 7.2
2011 3.6 -3.6 -0.6 0.5 -4.5 3.2 -0.8 -2.2 -5.6 -5.7 1.2 -0.7 -14.7
2012 2.3 1.3 -0.8 0.8 -5.8 6.6 -0.7 1.9 -0.7 3.6 -0.4 3.3 11.7
2013 1.7 -0.4 -1.9 -1.4 -1.4 1.2 2.3 -0.9 1.9 -0.2 1.1 1.5 3.2
2014 0.5 0 3.1 -0.3 -0.1 2 -1.1 1.4 -3.4 3.4 -2.6 -2.4 0.2
2015 -3.2 -0.3 -1.3 2.5 0.9 0.9 -1.1 -7.3 0 -1.1 1.9 -2.4 -10.4
2016 0.7 4.7 1.3 -1.6 0 0.4 0.6 0.5 1.3 -1.8 -4.8 -2 -1.2
2017 3.1 3 0.2 2.1 0.5 0 0.9 -0.3 1.6 -0.6 -1.1 -1.2 8.3
2018 0 -3.3 4.3 2.6 3.6 0.1 2.1 0.2 0.3 2.1 1.8 1.3 15.7
2019 0.5 1.4 2.8 -0.8 -3.5 2.9 -1.3 -0.3 -2.2 2.5 -0.7 0.6 1.7
2020 -5.2 2.3 -9.2 -6 1.1 1.2 5.3 4.4 2.7 -4.2 2.6 0.2 -5.8
2021 5.5 6.3 1.2 NA NA NA NA NA NA NA NA NA 13.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01  4.38 SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-02  4.40 SPY    145.  1.40e-3   0.0186   0.0243   0.0509    0.128    0.271    0.280 GLD    64.3 -0.0144   0.0028
3 2007-02-05  4.42 SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
4 2007-02-06  4.39 SPY    145.  3.00e-4   0.0147   0.031    0.0593    0.148    0.284    0.319 GLD    64.8  0.0075   0.0089
5 2007-02-07  4.45 SPY    145.  2.20e-3   0.0102   0.0285   0.0635    0.147    0.283    0.330 GLD    64.6 -0.0025  -0.0031
6 2007-02-08  4.48 SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart